Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0917
Annualized Std Dev 0.2403
Annualized Sharpe (Rf=0%) -0.3816

Row

Daily Return Statistics

Close
Observations 3369.0000
NAs 1.0000
Minimum -0.1609
Quartile 1 -0.0068
Median -0.0008
Arithmetic Mean -0.0003
Geometric Mean -0.0004
Quartile 3 0.0055
Maximum 0.1084
SE Mean 0.0003
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0002
Variance 0.0002
Stdev 0.0151
Skewness -0.2574
Kurtosis 15.4471

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0122
Loss Deviation 0.0114
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.8543
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0346
Modified VaR (95%) -0.0215
Modified ES (95%) -0.0215
From Trough To Depth Length To Trough Recovery
2008-10-28 2021-03-17 NA -0.8543 3120 3117 NA
2008-10-13 2008-10-13 2008-10-27 -0.1609 11 1 10
2008-02-11 2008-05-16 2008-07-02 -0.1303 98 67 31
2008-09-18 2008-09-19 2008-09-29 -0.1125 8 2 6
2007-11-20 2007-12-10 2007-12-17 -0.0593 19 14 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA 2.6 0 0.5 3.1
2008 -0.9 2.4 -3.1 0 -0.4 0.8 2 0.3 0.6 -0.3 8.7 -1.6 8.3
2009 0.8 0.4 -2.2 -1.1 -2.9 -1.5 -1.2 2.5 2.8 3.4 -2.7 0.6 -1.3
2010 -1.8 -0.7 -1.7 1.2 1.1 -1.5 0.3 -3.6 -1.1 0.3 -2.9 -0.6 -10.6
2011 -2.4 1.3 -0.9 -0.3 2.2 -1.1 1.2 1.1 3.6 3.2 0.9 -0.5 8.5
2012 -1.5 -1.1 -0.8 -0.4 2.6 -3.6 -0.1 -0.9 -0.8 -1.2 -0.1 -1.6 -9.4
2013 -0.8 0.2 1.1 0.7 1.9 -0.9 -1.4 1.1 -0.5 0.7 -0.2 -0.4 1.6
2014 1.6 -0.2 -0.7 -0.2 0 -0.8 0.6 0.1 1.3 -1.9 0.1 0.6 0.4
2015 1.7 -0.1 -0.5 -1.1 0.4 -0.7 -0.6 3.5 -0.2 0 -1 1.1 2.4
2016 0.1 -2.6 1.3 0.4 0.2 0 0.7 -0.7 -0.8 0.4 0.3 -0.3 -1
2017 -0.4 -1.2 0.1 -0.5 -0.6 0.1 -0.7 -0.3 -0.5 -0.2 0.3 0.1 -3.6
2018 -0.2 1.5 -0.9 0.4 -0.7 -0.7 0.3 0.7 -0.2 -1.2 0.5 -0.1 -0.7
2019 0.1 -0.6 -1.2 0.6 0.8 -0.6 0.5 -0.4 0.9 -0.9 0.7 -0.4 -0.7
2020 1.6 0.6 4.4 2.2 -2.3 -0.2 2.4 -0.1 -0.5 0.7 -2.4 0.6 7.1
2021 -1.1 -1.9 -0.1 NA NA NA NA NA NA NA NA NA -3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-10-25  70.1 SPY    152.  0.00240  -0.012   -0.0023   0.0464   0.101     0.382    0.683 GLD    76.0  0.0068   0.0004
2 2007-10-26  69.2 SPY    154.  0.0117    0.0264   0.0035   0.0423   0.110     0.377    0.739 GLD    77.7  0.0218   0.0263
3 2007-10-30  68.8 SPY    153. -0.0069    0.0086  -0.008    0.0453   0.110     0.352    0.708 GLD    77.4 -0.0099   0.0282
4 2007-10-31  67.9 SPY    155.  0.0104    0.0209   0.0036   0.0478   0.122     0.366    0.746 GLD    78.6  0.0164   0.041 
5 2007-11-01  69.6 SPY    151. -0.0234   -0.0053  -0.0179   0.0503   0.0961    0.330    0.689 GLD    77.9 -0.0088   0.025 
6 2007-11-02  69.3 SPY    151.  0.0011   -0.0158  -0.0183   0.0341   0.105     0.332    0.708 GLD    79.8  0.0244   0.0275
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart